Package com.opengamma.strata.market.curve

Class InterpolatedNodalCurve

java.lang.Object

com.opengamma.strata.market.curve.InterpolatedNodalCurve

All Implemented Interfaces:

Curve, NodalCurve, ParameterizedData, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class InterpolatedNodalCurve
extends Object
implements NodalCurve, org.joda.beans.ImmutableBean, Serializable

A curve based on interpolation between a number of nodal points.

This class defines a curve in terms of a fixed number of nodes, referred to as parameters.

Each node has an x-value and a y-value. The interface is focused on finding the y-value for a given x-value. An interpolator is used to find y-values for x-values between two nodes. Two extrapolators are used to find y-values, one when the x-value is to the left of the first node, and one where the x-value is to the right of the last node.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	InterpolatedNodalCurve.Builder	The bean-builder for InterpolatedNodalCurve.
static class	InterpolatedNodalCurve.Meta	The meta-bean for InterpolatedNodalCurve.

Method Summary

Modifier and Type	Method	Description
static InterpolatedNodalCurve.Builder	builder()	Returns a builder used to create an instance of the bean.
CurrencyParameterSensitivity	createParameterSensitivity(Currency currency, DoubleArray sensitivities)	Creates a parameter sensitivity instance for this curve when the sensitivity values are known.
UnitParameterSensitivity	createParameterSensitivity(DoubleArray sensitivities)	Creates a parameter sensitivity instance for this curve when the sensitivity values are known.
boolean	equals(Object obj)
double	firstDerivative(double x)	Computes the first derivative of the curve.
CurveExtrapolator	getExtrapolatorLeft()	Gets the extrapolator for x-values on the left, defaulted to 'Flat".
CurveExtrapolator	getExtrapolatorRight()	Gets the extrapolator for x-values on the right, defaulted to 'Flat".
CurveInterpolator	getInterpolator()	Gets the interpolator.
CurveMetadata	getMetadata()	Gets the curve metadata.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
DoubleArray	getXValues()	Gets the array of x-values, one for each point.
DoubleArray	getYValues()	Gets the array of y-values, one for each point.
int	hashCode()
static InterpolatedNodalCurve.Meta	meta()	The meta-bean for InterpolatedNodalCurve.
InterpolatedNodalCurve.Meta	metaBean()
static InterpolatedNodalCurve	of(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, CurveInterpolator interpolator)	Creates an interpolated curve with metadata.
static InterpolatedNodalCurve	of(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)	Creates an interpolated curve with metadata.
InterpolatedNodalCurve.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
InterpolatedNodalCurve	withMetadata(CurveMetadata metadata)	Returns a new curve with the specified metadata.
InterpolatedNodalCurve	withNode(double x, double y, ParameterMetadata paramMetadata)	Returns a new curve with an additional node, specifying the parameter metadata.
InterpolatedNodalCurve	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
InterpolatedNodalCurve	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.
InterpolatedNodalCurve	withValues(DoubleArray xValues, DoubleArray yValues)	Returns a new curve with the specified x-values and y-values.
InterpolatedNodalCurve	withYValues(DoubleArray yValues)	Returns a new curve with the specified values.
double	yValue(double x)	Computes the y-value for the specified x-value.
UnitParameterSensitivity	yValueParameterSensitivity(double x)	Computes the sensitivity of the y-value with respect to the curve parameters.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.market.curve.Curve

findParameterIndex, getName, split, withUnderlyingCurve

Methods inherited from interface com.opengamma.strata.market.curve.NodalCurve

getParameterMetadata, values

Method Detail

of

public static InterpolatedNodalCurve of(CurveMetadata metadata,
                                        DoubleArray xValues,
                                        DoubleArray yValues,
                                        CurveInterpolator interpolator)

Creates an interpolated curve with metadata.

Parameters:

metadata - the curve metadata

xValues - the x-values

yValues - the y-values

interpolator - the interpolator

Returns:

the curve

of

public static InterpolatedNodalCurve of(CurveMetadata metadata,
                                        DoubleArray xValues,
                                        DoubleArray yValues,
                                        CurveInterpolator interpolator,
                                        CurveExtrapolator extrapolatorLeft,
                                        CurveExtrapolator extrapolatorRight)

Creates an interpolated curve with metadata.

Parameters:

metadata - the curve metadata

xValues - the x-values

yValues - the y-values

interpolator - the interpolator

extrapolatorLeft - the extrapolator for extrapolating off the left-hand end of the curve

extrapolatorRight - the extrapolator for extrapolating off the right-hand end of the curve

Returns:

the curve

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the value of the parameter

withParameter

public InterpolatedNodalCurve withParameter(int parameterIndex,
                                            double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface Curve

Specified by:

withParameter in interface NodalCurve

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

public InterpolatedNodalCurve withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface Curve

Specified by:

withPerturbation in interface NodalCurve

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

yValue

public double yValue(double x)

Description copied from interface: Curve

Computes the y-value for the specified x-value.

Specified by:

yValue in interface Curve

Parameters:

x - the x-value to find the y-value for

Returns:

the value at the x-value

yValueParameterSensitivity

public UnitParameterSensitivity yValueParameterSensitivity(double x)

Description copied from interface: Curve

Computes the sensitivity of the y-value with respect to the curve parameters.

This returns an array with one element for each parameter of the curve. The array contains the sensitivity of the y-value at the specified x-value to each parameter.

Specified by:

yValueParameterSensitivity in interface Curve

Parameters:

x - the x-value at which the parameter sensitivity is computed

Returns:

the sensitivity

firstDerivative

public double firstDerivative(double x)

Description copied from interface: Curve

Computes the first derivative of the curve.

The first derivative is dy/dx.

Specified by:

firstDerivative in interface Curve

Parameters:

x - the x-value at which the derivative is taken

Returns:

the first derivative

withMetadata

public InterpolatedNodalCurve withMetadata(CurveMetadata metadata)

Description copied from interface: NodalCurve

Returns a new curve with the specified metadata.

This allows the metadata of the curve to be changed while retaining all other information. If parameter metadata is present, the size of the list must match the number of parameters of this curve.

Specified by:

withMetadata in interface Curve

Specified by:

withMetadata in interface NodalCurve

Parameters:

metadata - the new metadata for the curve

Returns:

the new curve

withYValues

public InterpolatedNodalCurve withYValues(DoubleArray yValues)

Description copied from interface: NodalCurve

Returns a new curve with the specified values.

This allows the y-values of the curve to be changed while retaining the same x-values.

Specified by:

withYValues in interface NodalCurve

Parameters:

yValues - the new y-values for the curve

Returns:

the new curve

withValues

public InterpolatedNodalCurve withValues(DoubleArray xValues,
                                         DoubleArray yValues)

Description copied from interface: NodalCurve

Returns a new curve with the specified x-values and y-values.

This allows the x values and y-values of the curve to be changed.

Specified by:

withValues in interface NodalCurve

Parameters:

xValues - the new x-values for the curve

yValues - the new y-values for the curve

Returns:

the new curve

withNode

public InterpolatedNodalCurve withNode(double x,
                                       double y,
                                       ParameterMetadata paramMetadata)

Returns a new curve with an additional node, specifying the parameter metadata.

The result will contain the specified node. If the x-value equals an existing x-value, the y-value will be changed. If the x-value does not equal an existing x-value, the node will be added.

The result will only contain the specified parameter metadata if this curve also has parameter meta-data.

Specified by:

withNode in interface NodalCurve

Parameters:

x - the new x-value

y - the new y-value

paramMetadata - the new parameter metadata

Returns:

the updated curve

createParameterSensitivity

public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities)

Description copied from interface: Curve

Creates a parameter sensitivity instance for this curve when the sensitivity values are known.

In most cases, Curve.yValueParameterSensitivity(double) should be used and manipulated. However, it can be useful to create a UnitParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Curve

Parameters:

sensitivities - the sensitivity values, which must match the parameter count of the curve

Returns:

the sensitivity

createParameterSensitivity

public CurrencyParameterSensitivity createParameterSensitivity(Currency currency,
                                                               DoubleArray sensitivities)

Description copied from interface: Curve

Creates a parameter sensitivity instance for this curve when the sensitivity values are known.

In most cases, Curve.yValueParameterSensitivity(double) should be used and manipulated. However, it can be useful to create a CurrencyParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Curve

Parameters:

currency - the currency

sensitivities - the sensitivity values, which must match the parameter count of the curve

Returns:

the sensitivity

meta

public static InterpolatedNodalCurve.Meta meta()

The meta-bean for InterpolatedNodalCurve.

Returns:

the meta-bean, not null

builder

public static InterpolatedNodalCurve.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public InterpolatedNodalCurve.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getMetadata

public CurveMetadata getMetadata()

Gets the curve metadata.

The metadata includes an optional list of parameter metadata. If present, the size of the parameter metadata list will match the number of parameters of this curve.

Specified by:

getMetadata in interface Curve

Returns:

the value of the property, not null

getXValues

public DoubleArray getXValues()

Gets the array of x-values, one for each point.

This array will contains at least two elements and be of the same length as y-values.

Specified by:

getXValues in interface NodalCurve

Returns:

the value of the property, not null

getYValues

public DoubleArray getYValues()

Gets the array of y-values, one for each point.

This array will contains at least two elements and be of the same length as x-values.

Specified by:

getYValues in interface NodalCurve

Returns:

the value of the property, not null

getInterpolator

public CurveInterpolator getInterpolator()

Gets the interpolator. This is used for x-values between the smallest and largest known x-value.

Returns:

the value of the property, not null

getExtrapolatorLeft

public CurveExtrapolator getExtrapolatorLeft()

Gets the extrapolator for x-values on the left, defaulted to 'Flat". This is used for x-values smaller than the smallest known x-value.

Returns:

the value of the property, not null

getExtrapolatorRight

public CurveExtrapolator getExtrapolatorRight()

Gets the extrapolator for x-values on the right, defaulted to 'Flat". This is used for x-values larger than the largest known x-value.

Returns:

the value of the property, not null

toBuilder

public InterpolatedNodalCurve.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object